Financial Forecasting Competition

[Bill Skaggs]

Motivated by the announcement on this list of the "First
International Nonlinear Financial Forecasting Competition",
I would like to raise a concern that has troubled me for
some time.  I wonder whether it is really socially responsible
to work on these things, or to support such work.

As I understand it, the value of our financial system is
that it efficiently channels money into the most productive
enterprises, and away from enterprises that are likely to
fail.  If the system works properly, then the only way to
make unusual amounts of money is to be unusually good at
predicting the success or failure of enterprises.

What concerns me, is that the financial forecasting techniques
I have seen are not oriented toward predicting the failure
or success of individual enterprises, but rather toward
identifying and predicting global trends in the flow of 
money.  I am skeptical that this is possible in the first
place, but even if it is possible, it seems to me that to
make money this way is to be a parasite upon the financial
system, rather than to serve it.  Furthermore, it is pretty
clear that the only way to consistently make money with such
a technique would be to keep it secret.

On the other hand, I have a great deal of respect for several
of the people involved in the "Competition", and this leads me
to wonder whether I might be missing some crucial point.  Can
anybody help me with this?

	-- Bill

(I am also concerned that this message will provoke too many
responses, and so I ask readers to think twice, or three times,
before replying to Connectionists.  Do you really have something
to say that isn't going to be said by somebody else?  Of course
I am happy to get Email from anybody who cares to send it, and
will summarize to Connectionists if it seems useful.)